Pareto: The Pareto, Piecewise Pareto and Generalized Pareto Distribution

Utilities for the Pareto, piecewise Pareto and generalized Pareto distribution that are useful for reinsurance pricing. In particular, the package provides a non-trivial algorithm that can be used to match the expected losses of a tower of reinsurance layers with a layer-independent collective risk model. The theoretical background of the matching algorithm and most other methods are described in Ulrich Riegel (2018) <doi:10.1007/s13385-018-0177-3>.

Package details

AuthorUlrich Riegel [aut, cre]
MaintainerUlrich Riegel <ulrich.riegel@gmx.de>
LicenseGPL (>= 2)
Version2.2.0
URL https://github.com/ulrichriegel/Pareto#pareto
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("Pareto")

Try the Pareto package in your browser

Any scripts or data that you put into this service are public.

Pareto documentation built on Aug. 3, 2020, 9:07 a.m.